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Stock market integration and the speed of information transmission

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    SYSNO ASEP0108587
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JOstatní články
    TitleStock market integration and the speed of information transmission
    TitleIntegrace akciového trhu a rychlost přenosu informací
    Author(s) Černý, Alexandr (NHU-N)
    Source TitleCERGE-EI Working Paper Series - ISSN 1211-3298
    -, č. 242 (2004), s. 1-25
    Number of pages25 s.
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsstock market integration ; market comovement ; high-frequency data
    Subject RIVAH - Economics
    R&D ProjectsKSK8002119 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR)
    GA402/04/0270 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z7085904 - NHU-N
    AnnotationUsing a unique dataset covering 8 months of high frequency data on the indices from markets in the U.S., London, Frankfurt, Paris, Warsaw, and Prague, I investigate the issue of stock market integration from a novel perspective. Cointegration and Granger causality tests with data of different frequencies (from 5 minutes to 1 day) are performed. The aim is to describe the time structure in which market react to the information revealed in prices on other markets. Particularly, I want to detect the speed of information transmission between the different markets.
    WorkplaceEconomics Institute
    ContactTomáš Pavela,, Tel.: 224 005 122
    Year of Publishing2005
Number of the records: 1